Об этом курсе
4.7
396 ratings
64 reviews
Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part II will be on the use of simple stochastic models to (i) solve portfolio optimization problems (ii) price derivative securities in various asset classes including equities and credit and (iii) consider some advanced applications of financial engineering including algorithmic trading and the pricing of real options. We will also consider the role that financial engineering played during the financial crisis. We hope that students who complete the course and the prerequisite course (FE & RM Part I) will have a good understanding of the "rocket science" behind financial engineering. But perhaps more importantly, we hope they will also understand the limitations of this theory in practice and why financial models should always be treated with a healthy degree of skepticism....
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Предполагаемая нагрузка: 13 hours videos and quizzes

Прибл. 24 ч. на завершение
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Субтитры: English

Приобретаемые навыки

Real Options ValuationRisk ManagementDerivative (Finance)Real Options
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Только онлайн-курсы

Начните сейчас и учитесь по собственному графику.
Calendar

Гибкие сроки

Назначьте сроки сдачи в соответствии со своим графиком.
Clock

Предполагаемая нагрузка: 13 hours videos and quizzes

Прибл. 24 ч. на завершение
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English

Субтитры: English

Программа курса: что вы изучите

1

Раздел
Clock
2 ч. на завершение

Mean-Variance Analysis and CAPM

Problem formulation and solution; the efficient frontier; including the risk-free asset; the Capital Asset Pricing Model (CAPM);implications of CAPM: α, β, security and capital market lines...
Reading
6 видео (всего 97 мин.), 2 материалов для самостоятельного изучения, 1 тест
Video6 видео
Introduction to Mean Variance in Excel9мин
Efficient Frontier19мин
Mean Variance with a Risk-free Asset14мин
Risk-free Frontier in Excel13мин
Capital Asset Pricing Model20мин
Reading2 материала для самостоятельного изучения
Lesson Supplements10мин
Quiz Instructions10мин
Quiz1 практическое упражнение
Mean-Variance Analysis and CAPM Problem Set14мин

2

Раздел
Clock
2 ч. на завершение

Practical Issues in Implementing Mean Variance

Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls....
Reading
6 видео (всего 103 мин.), 2 материалов для самостоятельного изучения, 1 тест
Video6 видео
Negative Exposures and Leveraged ETFs14мин
Beyond Variance13мин
Statistical Biases in Performance Evaluation17мин
How Should Average Returns be Computed?14мин
Survivorship Bias and Data Snooping23мин
Reading2 материала для самостоятельного изучения
Lesson Supplements10мин
Quiz Instructions10мин
Quiz1 практическое упражнение
Practical Issues in Implementing Mean Variance Problem Set14мин

3

Раздел
Clock
2 ч. на завершение

Equity Derivatives in Practice: Part I

Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls....
Reading
7 видео (всего 112 мин.), 2 материалов для самостоятельного изучения, 1 тест
Video7 видео
The Black-Scholes Model8мин
The Greeks: Delta and Gamma19мин
The Greeks: Vega and Theta18мин
Risk-Management of Derivatives Portfolios16мин
Delta-Hedging14мин
The Volatility Surface23мин
Reading2 материала для самостоятельного изучения
Lesson Supplements10мин
Quiz Instructions10мин
Quiz1 практическое упражнение
Equity Derivatives in Practice: Part I16мин

4

Раздел
Clock
2 ч. на завершение

Equity Derivatives in Practice: Part II

More about Black-Scholes, the Greeks and delta-hedging; the volatility surface; pricing derivatives using the volatility surface; model calibration....
Reading
5 видео (всего 82 мин.), 1 материал для самостоятельного изучения
Video5 видео
Why is There a Skew?14мин
What the Volatility Surface Tells Us17мин
Pricing Derivatives Using the Volatility Surface21мин
Beyond the Volatility Surface and Black-Scholes19мин
Reading1 материал для самостоятельного изучения
Lesson Supplements10мин
4.7
Direction Signs

25%

начал новую карьеру, пройдя эти курсы
Briefcase

83%

получил значимые преимущества в карьере благодаря этому курсу

Лучшие рецензии

автор: DLNov 20th 2015

This course is challenging and the skills learnt are valuable. The materials are well-made and formulas well-defined. I hope they provide more practice quizzes.

автор: QLMar 22nd 2017

Very great introduction to the financial engineering topics. It mainly covers the basics of portfolio management and structured products. Really insightful!

Преподавателя

Martin Haugh

Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research

Garud Iyengar

Professor
Industrial Engineering and Operations Research Department

О Columbia University

For more than 250 years, Columbia has been a leader in higher education in the nation and around the world. At the core of our wide range of academic inquiry is the commitment to attract and engage the best minds in pursuit of greater human understanding, pioneering new discoveries and service to society....

Часто задаваемые вопросы

  • Once you enroll for a Certificate, you’ll have access to all videos, quizzes, and programming assignments (if applicable). Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments.

  • When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

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